I don't think Paul is addressing there the specific theological question of where we go or what happens immediately to us upon physical death.
2Cor5:8: "We are of good courage, and we would rather be away from the body and at home with the Lord."
From the context, he's more illustrating the point of, while we are here, just how then we should be walking--that is, "...by faith, not by sight"(v.7), death being more a secondary issue or perhaps even a "non-issue"(hehe--Jesus' words, "Truly, truly, I say to you, if any one keeps my word, he will never see death." John 8:51).
